John M. Maheu : Citation Profile

Are you John M. Maheu?

McMaster University

16

H index

22

i10 index

1109

Citations

RESEARCH PRODUCTION:

33

Articles

65

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 46
   Journals where John M. Maheu has often published
   Relations with other researchers
   Recent citing documents: 85.    Total self citations: 50 (4.31 %)

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   Permalink: http://citec.repec.org/pma144
   Updated: 2023-11-04    RAS profile: 2023-08-05    
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Relations with other researchers

Works with:

Song, Yong (4)

McCurdy, Thomas (3)

Li, Chenxing (2)

Huber, Florian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with John M. Maheu.

Is cited by:

Bauwens, Luc (25)

Sévi, Benoît (21)

Omori, Yasuhiro (19)

Dufays, Arnaud (18)

Ielpo, Florian (18)

Gallo, Giampiero (16)

Andersen, Torben (14)

Otranto, Edoardo (14)

Santucci de Magistris, Paolo (14)

Bollerslev, Tim (14)

GUPTA, RANGAN (14)

Cites to:

Bollerslev, Tim (56)

Bauwens, Luc (55)

Shephard, Neil (46)

Andersen, Torben (46)

Diebold, Francis (39)

Koop, Gary (38)

van Dijk, Herman (26)

Engle, Robert (26)

Ravazzolo, Francesco (25)

McCurdy, Thomas (23)

Clark, Todd (22)

Main data

Where John M. Maheu has published?

Journals with more than one article published# docs
Journal of Econometrics7
The Journal of Financial Econometrics5
Journal of Business & Economic Statistics3
Journal of Applied Econometrics3
International Journal of Forecasting2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Empirical Finance2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis17
MPRA Paper / University Library of Munich, Germany15
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta4
Papers / arXiv.org2

Recent works citing John M. Maheu (2023 and 2022)

YearTitle of citing document
2022DATING COMMON COMMODITY PRICE AND INFLATION SHOCKS WITH ALTERNATIVE APPROACHES. (2022). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:469.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2022Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Papers. RePEc:arx:papers:2202.13793.

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2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

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2022Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Time-Varying approaches for Long-Term Electric Load Forecasting under economic shocks. (2023). Dadabada, Pradeep Kumar ; Jaipuria, Sanjita ; Thangjam, Aditya. In: Applied Energy. RePEc:eee:appene:v:333:y:2023:i:c:s0306261922018591.

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2022Effects of economic policy uncertainty: A regime switching connectedness approach. (2022). Yu, Xiaojian ; Zhang, Jiewen ; Lien, Donald. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001250.

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2023A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494.

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2023Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2022Bayesian nonparametric learning of how skill is distributed across the mutual fund industry. (2022). Fisher, Mark ; Jensen, Mark J. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:131-153.

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2022Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity. (2022). Pelenis, Justinas ; Norets, Andriy. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:62-82.

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2022Markov switching panel with endogenous synchronization effects. (2022). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:281-298.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2022Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002237.

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2022In search of time-varying jumps during the turmoil periods: Evidence from crude oil futures markets. (2022). Bhattacharyya, Asit ; Das, Debojyoti ; Soytas, Ugur ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s014098832200411x.

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2022Global oil price uncertainty and excessive corporate debt in China. (2022). Yan, Cheng ; Jin, Chenglu ; Qin, Jianing ; Ren, Xiaohang. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005072.

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2023Economic policy uncertainty, jump dynamics, and oil price volatility. (2023). Qi, YU ; Pan, NA ; Li, Xin ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001330.

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2023Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from Chinas automobile markets. (2023). Shang, Hongli ; Zhang, Chuanguo. In: Energy Policy. RePEc:eee:enepol:v:172:y:2023:i:c:s0301421522005274.

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2022How do dynamic jumps in global crude oil prices impact Chinas industrial sector?. (2022). Ye, Shuping ; Mou, Xinjie ; Zhang, Chuanguo. In: Energy. RePEc:eee:energy:v:249:y:2022:i:c:s0360544222005084.

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2023Heterogeneous impacts of oil prices on Chinas stock market: Based on a new decomposition method. (2023). Ai, Chunrong ; Xu, Jie ; Liu, Feng. In: Energy. RePEc:eee:energy:v:268:y:2023:i:c:s0360544223000385.

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2022Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns. (2022). Wang, Jianqiong ; Xu, Yongan ; Yang, MO ; Liang, Chao. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001338.

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2022Do precious metals hedge crude oil volatility jumps?. (2022). Basu, Sankarshan ; Kumar, Surya Bhushan ; Bhatia, Vaneet ; Das, Debojyoti. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002150.

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2022The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models. (2022). Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003684.

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2022Do economic policy uncertainty indices matter in joint volatility cycles between U.S. and Japanese stock markets?. (2022). Chang, Kuang-Liang. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005304.

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2022Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models. (2022). Peng, Zhe ; Chen, Haicui ; Zhang, Chuanhai. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000903.

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2022COVID-19 and the Economy: Summary of research and future directions. (2022). Simkins, Betty J ; Iyer, Subramanian Rama. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001131.

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2023A closer look at the regime-switching evidence of bull and bear markets. (2023). Kirby, Chris. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005463.

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2022COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?. (2022). Masih, Abul ; Chowdhury, Mohammad Ashraful ; Abdullah, Mohammad ; Ferdous, Mohammad Ashraful. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001639.

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2022Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2023Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2022Understanding how ESG-focused airlines reduce the impact of the COVID-19 pandemic on stock returns. (2022). Chen, Ming-Hsiang ; Su, Ching-Hui. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:102:y:2022:i:c:s0969699722000503.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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2022When does the fed care about stock prices?. (2022). Zaynutdinova, Gulnara R ; Olson, Eric ; Kurov, Alexander. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:142:y:2022:i:c:s0378426622001522.

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2022News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies. (2022). McCurdy, Thomas ; Zhao, Xiaofei ; Jeon, Yoontae. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:1-17.

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2022Volatility in natural resources prices and economic performance: Evidence from BRICS economies. (2022). Cong, Phan The ; Ramos, Carlos Samuel ; Jain, Vipin ; Kashif, Maryam ; Mughal, Nafeesa ; Wen, Jun. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004803.

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2022Forecasting crude oil market returns: Enhanced moving average technical indicators. (2022). Zhang, Yaojie ; Wang, Yudong ; Liu, LI ; Wen, Danyan. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000216.

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2022Hydrocarbon prices shocks, fiscal stability and consolidation: Evidence from Russian Federation. (2022). Sohag, Kazi ; Mirnezami, Seyed Reza ; Belyaeva, Zhanna ; Sokhanvar, Amin. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000848.

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2022Oil-growth nexus in Nigeria: An ADL-MIDAS approach. (2022). Salisu, Afees ; Atoi, Ngozi V ; Tumala, Mohammed M. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002021.

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2022The economic cost of environmental laws: Volatility transmission mechanism and remedies. (2022). Farmanesh, Panteha ; Qian, Yudan ; Zhou, Shuai. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003889.

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2023Forecasting on metal resource spot settlement price: New evidence from the machine learning model. (2023). Zhang, YI ; Li, Chongyang ; Shi, Tao. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000685.

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2022Does trade cause fear of appreciation?. (2022). Zhu, Jiaqing ; Zhang, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:68-80.

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2022On the predictive power of tweet sentiments and attention on bitcoin. (2022). Suardi, Sandy ; Liu, Bin ; Rasel, Atiqur Rahman. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:289-301.

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2022Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics. (2022). Paul, Amartya ; Kundu, Srikanta. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:597-612.

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2022Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Polasik, Micha ; Molnar, Peter ; Lind, Andrea Falk ; Bergsli, Lykke Overland. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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2022Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models. (2022). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001756.

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2022Identifying bull and bear market regimes with a robust rule-based method. (2022). Zegado, Piotr. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002245.

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2023An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia. (2023). Hensher, David A ; Zeng, Jingjing ; Li, Zheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:169:y:2023:i:c:s0965856423000149.

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2022Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Working Papers. RePEc:fip:fedcwq:93787.

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2022A Bayesian Approach to Inference on Probabilistic Surveys. (2022). Casarin, Roberto ; Bassetti, Federico ; del Negro, Marco. In: Staff Reports. RePEc:fip:fednsr:94495.

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2022Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models. (2022). Zevallos, Mauricio ; Abbara, Omar. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2022:i:1:p:1-:d:1013050.

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2022Outliers and Time-Varying Jumps in the Cryptocurrency Markets. (2022). Bouri, Elie ; Dutta, Anupam. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:128-:d:766133.

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2022.

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2022.

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2023.

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2022Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory. (2022). Sibbertsen, Philipp ; Mboya, Mwasi. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-705.

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2022Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2022). Asai, Manabu ; McAleer, Michael. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10074-6.

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2023When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach. (2023). Jackson, Dave ; Tokic, Damir. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-023-00306-3.

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2023Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model. (2023). Zakamulin, Valeriy. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00112-y.

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2022A multivariate GARCH model with an infinite hidden Markov mixture. (2022). Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:112792.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2022Systematic Literature Review With Bibliometric Analysis on Markov Switching Model: Methods and Applications. (2022). Phoong, Seuk Wai ; Khek, Shi Ling. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:2:p:21582440221093062.

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2022Risk management for crude oil futures: an optimal stopping-timing approach. (2022). Zhan, Yaosong ; Liu, Zhenya ; Boubaker, Sabri. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04092-2.

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2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

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2023Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y.

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2023Forecasting in the presence of in-sample and out-of-sample breaks. (2023). Perron, Pierre ; Xu, Jiawen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02346-x.

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2023Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5.

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2023Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2022Forecasting Ination: A GARCH-in-Mean-Level Model with Time Varying Predictability.. (2022). Chini, Emilio Zanetti ; Paraskevopoulos, Athanasios ; Karanasos, Menelaos ; Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202212.

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2022General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred ; Pfarrhofer, Michael. In: Working Papers in Regional Science. RePEc:wiw:wus046:8006.

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2023General Bayesian time?varying parameter vector autoregressions for modeling government bond yields. (2023). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:69-87.

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2022What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382.

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2022The global latent factor and international index futures returns predictability. (2022). Lien, Donald ; Lee, Hsiuchuan ; Chang, Shulien. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:514-538.

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2023Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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2022Forecasting realized volatility: New evidence from time?varying jumps in VIX. (2022). Dutta, Anupam ; Das, Debojyoti. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2165-2189.

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2023Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

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Works by John M. Maheu:

YearTitleTypeCited
2020Bull and Bear Markets During the COVID-19 Pandemic In: Papers.
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2021Bull and bear markets during the COVID-19 pandemic.(2021) In: Finance Research Letters.
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2020Bull and Bear Markets During the COVID-19 Pandemic.(2020) In: MPRA Paper.
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2023Bayesian Forecasting in Economics and Finance: A Modern Review In: Papers.
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2009Real Time Detection of Structural Breaks in GARCH Models In: Staff Working Papers.
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2010Real time detection of structural breaks in GARCH models.(2010) In: Computational Statistics & Data Analysis.
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2009Real Time Detection of Structural Breaks in GARCH Models.(2009) In: Working Paper series.
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2008Real Time Detection of Structural Breaks in GARCH Models.(2008) In: Working Papers.
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2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
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2002Conditional Jump Dynamics in Stock Market Returns. In: Journal of Business & Economic Statistics.
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2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
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2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Paper series.
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2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Papers.
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2013Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models In: Studies in Nonlinear Dynamics & Econometrics.
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2012Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models.(2012) In: Working Paper series.
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2005Can GARCH Models Capture Long-Range Dependence? In: Studies in Nonlinear Dynamics & Econometrics.
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2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
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2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
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2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns In: CIRANO Working Papers.
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2000Volatility Dynamics Under Duration-Dependent Mixing In: Econometric Society World Congress 2000 Contributed Papers.
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2000Volatility dynamics under duration-dependent mixing.(2000) In: Journal of Empirical Finance.
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2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
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2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
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2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series.
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2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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2011Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics.
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2009Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series.
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2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
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2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
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2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series.
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
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2012Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture.(2012) In: FRB Atlanta Working Paper.
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
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2016Bayesian semiparametric modeling of realized covariance matrices In: Journal of Econometrics.
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2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: MPRA Paper.
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2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: Working Paper series.
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2016Modeling covariance breakdowns in multivariate GARCH In: Journal of Econometrics.
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2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: MPRA Paper.
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2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: Working Paper series.
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2022Infinite Markov pooling of predictive distributions In: Journal of Econometrics.
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2016An infinite hidden Markov model for short-term interest rates In: Journal of Empirical Finance.
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2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: MPRA Paper.
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2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: Working Paper series.
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2014A new structural break model, with an application to Canadian inflation forecasting In: International Journal of Forecasting.
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2012A new structural break model with application to Canadian inflation forecasting.(2012) In: MPRA Paper.
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2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Paper series.
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2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Papers.
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2020Oil price shocks and economic growth: The volatility link In: International Journal of Forecasting.
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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: Working Paper series.
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2013Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics.
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2012Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series.
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2012Intraday dynamics of volatility and duration: Evidence from Chinese stocks In: Pacific-Basin Finance Journal.
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2014Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper.
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2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM.
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2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper.
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2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series.
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1999A Semi-Markov Approach to Modeling Volatility Dynamics. In: Rotman School of Management - Finance.
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2008Learning, forecasting and structural breaks In: Journal of Applied Econometrics.
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2004Learning, Forecasting and Structural Breaks.(2004) In: Cahiers de recherche.
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2007Learning, Forecasting and Structural Breaks.(2007) In: Working Papers.
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2009Forecasting realized volatility: a Bayesian model-averaging approach In: Journal of Applied Econometrics.
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2008Forecasting Realized Volatility: A Bayesian Model Averaging Approach.(2008) In: Working Papers.
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2023Bayesian Forecasting in the 21st Century: A Modern Review In: Monash Econometrics and Business Statistics Working Papers.
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2013Modeling Realized Covariances and Returns In: The Journal of Financial Econometrics.
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2011Modelling Realized Covariances and Returns.(2011) In: Working Paper series.
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2012Modelling Realized Covariances and Returns.(2012) In: Working Paper series.
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2010Modelling Realized Covariances and Returns.(2010) In: Working Papers.
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2021Nonparametric Dynamic Conditional Beta* In: The Journal of Financial Econometrics.
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2016Nonparametric Dynamic Conditional Beta.(2016) In: MPRA Paper.
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2021Bayesian Nonparametric Estimation of Ex Post Variance* In: The Journal of Financial Econometrics.
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2016Bayesian Nonparametric Estimation of Ex-post Variance.(2016) In: MPRA Paper.
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2007Components of Market Risk and Return In: The Journal of Financial Econometrics.
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2008Are There Structural Breaks in Realized Volatility? In: The Journal of Financial Econometrics.
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2007Are there Structural Breaks in Realized Volatility?.(2007) In: Working Papers.
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2020A Multivariate GARCH-Jump Mixture Model In: MPRA Paper.
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2022An Infinite Hidden Markov Model with Stochastic Volatility In: MPRA Paper.
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2015Improving Markov switching models using realized variance In: MPRA Paper.
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2018Improving Markov switching models using realized variance.(2018) In: Journal of Applied Econometrics.
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2017An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series In: MPRA Paper.
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2018An efficient Bayesian approach to multiple structural change in multivariate time series.(2018) In: Journal of Applied Econometrics.
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2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices In: MPRA Paper.
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2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices.(2018) In: Working Paper series.
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2019Bayesian parametric and semiparametric factor models for large realized covariance matrices.(2019) In: Journal of Applied Econometrics.
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2012Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics.
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2010Components of bull and bear markets: bull corrections and bear rallies.(2010) In: Working Papers.
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2007Modeling foreign exchange rates with jumps In: Working Papers.
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2008Improving Forecasts of Inflation using the Term Structure of Interest Rates In: Working Papers.
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2009Extracting bull and bear markets from stock returns In: Working Papers.
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2009Modelling Realized Covariances In: Working Papers.
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2010Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market In: Working Papers.
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2011Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models In: Working Papers.
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2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
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2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
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